E-mini S&P 500 Futures (December 2026) (ESZ6) Expected Move
Expected move estimates the probable price range for a given period based on at-the-money options pricing. It reflects the market consensus for volatility over the selected timeframe.
E-mini S&P 500 Futures (December 2026) (ESZ6) operates in the Equity Index Futures sector, specifically the Equity Index Futures industry, listed on CME. E-mini S&P 500 Futures December 2026 contract: CME E-mini S&P 500 futures (ES): the most liquid US equity index futures contract, tracking the S&P 500 index.
Snapshot as of Oct 5, 2026.
- Spot Price
- $7824.75
- Expected Move
- 3.6%
- Implied High
- $8103.69
- Implied Low
- $7545.81
- Front DTE
- 30 days
As of Oct 5, 2026, E-mini S&P 500 Futures (December 2026) (ESZ6) has an expected move of 3.56%, a one-standard-deviation implied price range of roughly $7545.81 to $8103.69 from the current $7824.75. Expected move is derived from at-the-money straddle pricing and represents the market's pricing of a ±1σ move. Roughly 68% of outcomes should fall within this range under lognormal assumptions, though empirical markets have fatter tails.
ESZ6 Strategy Sizing to the Expected Move
With E-mini S&P 500 Futures (December 2026) pricing an expected move of 3.56% from $7824.75, risk-defined strategies sized to the implied range structurally target the modal outcome distribution. Iron condors with wings at the ±1σ expected move boundaries collect premium against the ~68% probability that spot stays inside the range under lognormal assumptions; strangles set wider at ±1.5σ or ±2σ target the tails but pay smaller per-trade premium. Long-vol structures (long straddles, ratio backspreads) profit when realized move exceeds the implied move, the inverse trade: they bet against the lognormal assumption itself, capitalizing on the empirically fatter equity-return tails.
How to read the ESZ6 implied-range chart
The shaded range above shows the one-standard-deviation implied price band at each listed expiration, derived from ATM implied volatility scaled to days-to-expiration. The front-tenor expected move is 3.56%, anchoring an implied range of approximately $7545.81 to $8103.69. Under lognormal assumptions, roughly 68% of outcomes fall inside that band; 95% fall inside ±2σ; 99.7% inside ±3σ. The empirical equity-return distribution has fatter tails than lognormal, so true tail-outcome frequency is moderately higher than these closed-form numbers suggest.
ESZ6 expected move and event pricing
Expected move widens with √time: a 5% 30-day move corresponds to roughly a 2.5% 7.5-day move and a 10% 120-day move. ESZ6 term-structure is in contango (slope 0.002), so longer-dated tenors price in proportionally more vol than √time scaling alone would suggest - typically because long-dated cycles include uncertain macro states.
Sizing ESZ6 structures to the expected move
Iron condors with wings at ±1σ collect the modal-outcome premium; ±1.5σ widens probability of inside-range to ~87% but cuts collected premium roughly in half. Strangles do the inverse trade - they pay against the same lognormal distribution, profiting when realized exceeds implied. Calendar spreads bet on the slope of the term structure rather than the level. ESZ6 put/call volume ratio currently at 3.01 indicates protective put flow dominates - look for hedged-money positioning into the move. The expected move is the inputs the chain is pricing, not a forecast - realized moves above or below are normal under any distribution.
Learn how expected move is reported and how to read the data →
Per-expiration expected move for ESZ6 derived from ATM implied volatility at each listed expiration. Implied high/low bounds are computed as $7824.75 × (1 ± expected move %). One standard-deviation range under lognormal assumptions, roughly 68% of outcomes fall inside.
| Expiration | DTE | ATM IV | Expected Move | Implied High | Implied Low |
|---|---|---|---|---|---|
| Oct 6, 2026 | 1 | 9.4% | 0.5% | $7863.05 | $7786.45 |
| Oct 7, 2026 | 2 | 9.9% | 0.7% | $7882.33 | $7767.17 |
| Oct 8, 2026 | 3 | 10.3% | 0.9% | $7898.04 | $7751.46 |
| Oct 9, 2026 | 4 | 10.6% | 1.1% | $7911.96 | $7737.54 |
| Oct 12, 2026 | 7 | 9.4% | 1.3% | $7926.54 | $7722.96 |
| Oct 13, 2026 | 8 | 9.7% | 1.4% | $7937.49 | $7712.01 |
| Oct 14, 2026 | 9 | 10.6% | 1.7% | $7954.60 | $7694.90 |
| Oct 15, 2026 | 10 | 10.8% | 1.8% | $7965.22 | $7684.28 |
| Oct 16, 2026 | 11 | 11.1% | 1.9% | $7975.64 | $7673.86 |
| Oct 19, 2026 | 14 | 10.6% | 2.1% | $7986.73 | $7662.77 |
| Oct 20, 2026 | 15 | 10.7% | 2.2% | $7994.94 | $7654.56 |
| Oct 21, 2026 | 16 | 10.9% | 2.3% | $8003.56 | $7645.94 |
| Oct 22, 2026 | 17 | 11.1% | 2.4% | $8011.77 | $7637.73 |
| Oct 23, 2026 | 18 | 11.3% | 2.5% | $8020.30 | $7629.20 |
| Oct 26, 2026 | 21 | 11.0% | 2.6% | $8030.72 | $7618.78 |
| Oct 27, 2026 | 22 | 11.1% | 2.7% | $8038.25 | $7611.25 |
| Oct 28, 2026 | 23 | 11.6% | 2.9% | $8052.25 | $7597.25 |
| Oct 29, 2026 | 24 | 12.0% | 3.1% | $8065.12 | $7584.38 |
| Oct 30, 2026 | 25 | 12.2% | 3.2% | $8075.47 | $7574.03 |
| Nov 2, 2026 | 28 | 12.0% | 3.3% | $8084.89 | $7564.61 |
| Nov 3, 2026 | 29 | 12.1% | 3.4% | $8091.71 | $7557.79 |
| Nov 4, 2026 | 30 | 12.4% | 3.6% | $8103.69 | $7545.81 |
| Nov 5, 2026 | 31 | 12.6% | 3.7% | $8111.75 | $7537.75 |
| Nov 6, 2026 | 32 | 12.8% | 3.8% | $8120.63 | $7528.87 |
| Nov 9, 2026 | 35 | 12.6% | 3.9% | $8129.14 | $7520.36 |
| Nov 10, 2026 | 36 | 12.7% | 4.0% | $8137.99 | $7511.51 |
| Nov 13, 2026 | 39 | 13.0% | 4.2% | $8156.06 | $7493.44 |
| Nov 20, 2026 | 46 | 13.2% | 4.7% | $8190.43 | $7459.07 |
| Nov 27, 2026 | 53 | 13.2% | 5.0% | $8219.46 | $7430.04 |
| Nov 30, 2026 | 56 | 12.9% | 5.1% | $8220.91 | $7428.59 |
| Dec 4, 2026 | 60 | 13.4% | 5.4% | $8249.76 | $7399.74 |
| Dec 18, 2026 | 74 | 13.4% | 6.0% | $8296.28 | $7353.22 |
Frequently asked ESZ6 expected move questions
- What is the current ESZ6 expected move?
- As of Oct 5, 2026, E-mini S&P 500 Futures (December 2026) (ESZ6) has an expected move of 3.56% over the next 30 days, implying a one-standard-deviation price range of $7545.81 to $8103.69 from the current $7824.75. The expected move is derived from at-the-money straddle pricing and represents the market consensus for a ±1σ price move.
- What does the ESZ6 expected move mean for traders?
- Roughly 68% of outcomes should fall within ±1 expected move and 95% within ±2 under lognormal assumptions, though equity returns have empirically fatter tails than log-normal predicts. Strategies sized to the expected move (iron condors at ±1σ, strangles at ±1.5σ) target the typical outcome distribution; strategies that profit from tail moves (long-vol structures, ratio backspreads) target the tails the lognormal model under-prices.
- How is ESZ6 expected move calculated?
- The expected move displayed here is derived from at-the-money implied volatility scaled to the chosen tenor: expected move % is approximately ATM IV times sqrt(T / 365), where T is days to expiration. An equivalent straddle-based form: the ATM straddle (call + put at the same strike) is roughly sqrt(2/pi) times spot times IV times sqrt(T/365), so the implied one-standard-deviation move is approximately 1.25 times ATM straddle divided by spot. The two formulations agree once the sqrt(2/pi) constant is reconciled.